J. D. Fonseca

发表

The α-Hypergeometric Stochastic Volatility Model

Claude Martini, José Da Fonseca, C. Martini, 2016 .

The $\alpha$-Hypergeometric Stochastic Volatility Model

C. Martini, J. D. Fonseca, 2014, 1409.5142.

Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model: Correlation and Lead-Lag Relationships in a Hawkes Model

J. D. Fonseca, Riadh Zaatour, 2017 .

Option pricing with Correlation Risk

C. Tebaldi, Martino Grasselli, J. D. Fonseca, 2007 .

Linkages and Performance Comparison among Eastern Europe Stock Markets

J. D. Fonseca, 2014 .

Portfolio selection in euro area with CAPM and Lower Partial Moments models

J. D. Fonseca, 2020 .

The Co-integration of European Stock Markets after the Launch of the Euro

J. D. Fonseca, 2008 .

Corporate Social Responsibility and Innovation strategies and their impact on companies’ financial performance

J. D. Fonseca, 2021 .

Clustering and Mean Reversion in a Hawkes Microstructure Model: Clustering & Mean Reversion in a Hawkes Model

J. D. Fonseca, Riadh Zaatour, 2015 .

Determinants of Foreign Direct Investment in Sierra Leone

J. D. Fonseca, 2017 .

Pricing Inflation Linked Bonds and Hedging Bond Portfolios: A Comparative Analysis Applied to French OAT Indexed Bonds

Béatrice de Séverac, J. D. Fonseca, 2016 .

Option pricing when correlations are stochastic: an analytical framework

Claudio Tebaldi, Martino Grasselli, C. Tebaldi, 2006 .

The performance of the European Stock Markets: a time-varying Sharpe ratio approach

J. D. Fonseca, 2010 .

Stochastic durations, the convexity effect, and the impact of interest rate changes

J. D. Fonseca, 2014 .

On moment non-explosions for Wishart-based stochastic volatility models

José Da Fonseca, J. D. Fonseca, 2016, Eur. J. Oper. Res..

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli, 2015, Oper. Res. Lett..

Deformation of implied volatility surfaces: an empirical analysis

Rama Cont, José Da Fonseca, R. Cont, 2002 .

Innovations in return transmission and performance comparison between the five biggest Euro area stock markets

J. D. Fonseca, 2013 .

The Integration of European Stock Markets and Market Timing

J. D. Fonseca, 2006 .

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

J. D. Fonseca, Katrin Gottschalk, 2013, SSRN Electronic Journal.

Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises

J. D. Fonseca, Katrin Gottschalk, 2014, SSRN Electronic Journal.

Higher Moment Risk Premiums for the Crude Oil Market : A Downside and Upside Conditional Decomposition

J. D. Fonseca, 2018 .